Pannu revealed at a fans forum that Yeung is keen to tie McLeish, who still has 18 months to run on his present contract, to a longer deal.
"I spent about two hours on Monday with Alex, together with the chief executive," Pannu said at the forum hosted by BRMB Radio.
"We have gone through a contract.
"Carson acknowledges his contribution thus far.
"We have indicated to him, in no uncertain terms, that we want to have a future with him at the club. We told him that we want him to stay.
"Although his contract does not expire until 18 months from now, we have started negotiations.
"We have indicated to Alex the sort of terms we will be offering to him and he received them very, very well.
"He will be meeting Carson personally when Carson flies in at the end of this week."